MULTI-SCALE GAUSSIAN PROCESSES MODEL

A novel model named Multi-scale Gaussian Processes （MGP） is proposed. Motivated by the ideas of multi-scale representations in the wavelet theory, in the new model, a Gaussian process is represented at a scale by a linear basis that is composed of a scale function and its different translations. Finally the distribution of the targets of the given samples can be obtained at different scales. Compared with the standard Gaussian Processes （GP） model, the MGP model can control its complexity conveniently just by adjusting the scale parameter. So it can trade-off the generalization ability and the empirical risk rapidly. Experiments verify the feasibility of the MGP model, and exhibit that its performance is superior to the GP model if appropriate scales are chosen.